
Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
We extend the available asymptotic theory for autoregressive sieve estimators to cover the case of stationary and invertible linear processes driven by independent identically distributed (i.i.d.) infinite variance (IV) innovations. We show that the ordinary least squares sieve estimates, together with estimates of the impulse responses derived from these, obtained from an autoregression whose order is an increasing function of the sample size, are consistent and exhibit asymptotic properties analogous to those which obtain for a finiteorder autoregressive process driven by i.i.d. IV errors. As these limit distributions cannot be directly employed for inference because they either may not exist...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
We extend the available asymptotic theory for autoregressive sieve estimators to cover the case of stationary and invertible linear processes driven by independent identically distributed (i.i.d.) infinite variance (IV) innovations. We show that the ordinary least squares sieve estimates, together with estimates of the impulse responses derived from these, obtained from an autoregression whose order is an increasing function of the sample size, are consistent and exhibit asymptotic properties analogous to those which obtain for a finiteorder autoregressive process driven by i.i.d. IV errors. As these limit distributions cannot be directly employed for inference because they either may not exist...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
We extend the available asymptotic theory for autoregressive sieve estimators to cover the case of stationary and invertible linear processes driven by independent identically distributed (i.i.d.) infinite variance (IV) innovations. We show that the ordinary least squares sieve estimates, together with estimates of the impulse responses derived from these, obtained from an autoregression whose order is an increasing function of the sample size, are consistent and exhibit asymptotic properties analogous to those which obtain for a finiteorder autoregressive process driven by i.i.d. IV errors. As these limit distributions cannot be directly employed for inference because they either may not exist...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
We extend the available asymptotic theory for autoregressive sieve estimators to cover the case of stationary and invertible linear processes driven by independent identically distributed (i.i.d.) infinite variance (IV) innovations. We show that the ordinary least squares sieve estimates, together with estimates of the impulse responses derived from these, obtained from an autoregression whose order is an increasing function of the sample size, are consistent and exhibit asymptotic properties analogous to those which obtain for a finiteorder autoregressive process driven by i.i.d. IV errors. As these limit distributions cannot be directly employed for inference because they either may not exist...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
We extend the available asymptotic theory for autoregressive sieve estimators to cover the case of stationary and invertible linear processes driven by independent identically distributed (i.i.d.) infinite variance (IV) innovations. We show that the ordinary least squares sieve estimates, together with estimates of the impulse responses derived from these, obtained from an autoregression whose order is an increasing function of the sample size, are consistent and exhibit asymptotic properties analogous to those which obtain for a finiteorder autoregressive process driven by i.i.d. IV errors. As these limit distributions cannot be directly employed for inference because they either may not exist...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
We extend the available asymptotic theory for autoregressive sieve estimators to cover the case of stationary and invertible linear processes driven by independent identically distributed (i.i.d.) infinite variance (IV) innovations. We show that the ordinary least squares sieve estimates, together with estimates of the impulse responses derived from these, obtained from an autoregression whose order is an increasing function of the sample size, are consistent and exhibit asymptotic properties analogous to those which obtain for a finiteorder autoregressive process driven by i.i.d. IV errors. As these limit distributions cannot be directly employed for inference because they either may not exist...

Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
We extend the available asymptotic theory for autoregressive sieve estimators to cover the case of stationary and invertible linear processes driven by independent identically distributed (i.i.d.) infinite variance (IV) innovations. We show that the ordinary least squares sieve estimates, together with estimates of the impulse responses derived from these, obtained from an autoregression whose order is an increasing function of the sample size, are consistent and exhibit asymptotic properties analogous to those which obtain for a finiteorder autoregressive process driven by i.i.d. IV errors. As these limit distributions cannot be directly employed for inference because they either may not exist...

Angelini, Giovanni; Fanelli, Luca
Abstract: This paper focuses on the dynamic misspecification that characterizes the class
of smallscale NewKeynesian models and provides a `natural' remedy for the typical difficulties
these models have in accounting for the rich contemporaneous and dynamic correlation structure
of the data, generally faced with ad hoc shock specifications. We suggest using the `best fitting'
statistical model for the data as a device through which it is possible to adapt the econometric
specification of the NewKeynesian model. The statistical model may feature an autocorrelation
structure that is more involved than the autocorrelation structure implied by the structural
model's reduced form solution under rational expectations, and it is treated...

Golinelli, Roberto; Orsi, Renzo
The aim of this paper is to model the impact of exchange rate both inlation and unemployment variables in economics which are characterized by important structural changes, i.e. A transition phase moving from centralised economies towards market economies. This phenomeno, which is common to east european countries, stressed difefrent effects both for what concerns the behaviour of economic agents and for what concerns fiscal and monetary measures adopted by governments and aiming to keep under control the inflationunemployment trade off. Time series relatioships between these variables are investigated within an econometric model. Economic theory and available data on the hypothetically...

Golinelli, Roberto; Orsi, Renzo
Inflation in Central and East European countries varied considerably over the transition phase, and econometric relationships between prices, money, wages and exchange rates are said to have been unstable during this period. In order to shed some light on the issue, this paper analyses some empirical models of the inflation process in the three earliest east European transition economies: the Czech Republic, Hungary and Poland. In particular, we first look at inflation within the context of multivariate cointegration, where domestic and foreign price determinants are initially assessed in separate blocks (each singletheory based) in order to obtain a number of...

Feri, Francesco; Giannetti, Caterina; Jentzsch, Nicola
Breaches of the security of personal data collected by firms are reported almost daily.
Companies are under an increasing political pressure to notify individuals whose privacy as been breached. At the moment, we know virtually nothing about the behavioral impact of data breach notifications. We present the results of an experimental study designed to investigate how breach notifications change the individual’s propensity to provide sensitive personal information to firms. In contrast to the theory (where breach notifications have no
behavioral effect), our main result shows that notifications induce a subgroup of individuals to disclose less information to a firm, i.e. those with...

Bardasi, Elena; Monfardini, Chiara
The effect of transition from centrally planned to market economies on female employment is
unclear apriori. Many studies have pointed out that the emergence of labour markets created
obstacles to but also new opportunities for women’s employment. A frequently mentioned
potential explanation of the lower female participation during the transition period is
represented by the reduction of childcare facilities, which created a major constraint on the
participation of women with dependent children. However, we must not forget the effect of
forces of opposite sign, first of all the household necessity of having two earners during the
turbulent transition period. The aim of this paper is to give...

Ruiz Chico, José; Universidad de Cádiz
La economía mundial real ha padecido desde 2008 una gran crisis que ha afectado a todos los países occidentales y a las distintas ramas de actividad. Con este planteamiento, en este trabajo intentaremos analizar sus efectos sobre las exportaciones de la Unión Europea, centrándonos en las agroalimentarias. Bajo esta perspectiva, nuestro principal objetivo será realizar un análisis de la competitividad de las exportaciones, para identificar los países de la Unión Europea más fuertes y más débiles, en el periodo 20072012, por ser el año anterior a la crisis y el último año con datos disponibles tanto a nivel de datos...

Monfardini, Chiara; Santos Silva, J.M.C.
It is well known that, in a multinomial probit, only the covariance matrix of
the location and scale normalized utilities are identified. In this study, we explore
the relation between these identifiable parameters and the original elements of the
covariance matrix, to find out what can be learnt about the correlations between
the stochastic components of the nonnormalized utilities. We show that, in certain
circumstances, it is possible to obtain information on these behavioural parameters
and define appropriate tools for inference. We illustrate the usefulness of our results
in applied settings using an example.

Bordignon, Silvano; Raggi, Davide
In this paper we propose a sequential Monte Carlo algorithm to estimate a stochastic volatility model with leverage effects and non constant conditional mean and jumps. We are interested in estimating the time invariant parameters and the nonobservable dynamics involved in the model. Our idea relies on the auxiliary particle filter algorithm mixed together with Markov Chain Monte Carlo (MCMC) methodology. Adding an MCMC step to the auxiliary particle filter prevents numerical degeneracies in the sequential algorithm and allows sequential evaluation of the fixed parameters and the latent processes. Empirical evaluation on simulated and real data is presented to assess...

Easaw, Joshy; Golinelli, Roberto
Recent research has established that households learn from professional forecasters as they form their inflation expectations. Professionals forecasts are transmitted, or ‘absorbed’, throughout the population slowly but eventually. This provides the microfoundations for ‘sticky information expectations’. The present paper considers whether absorption rates take place heterogeneously amongst households. We consider whether various segments of the population absorb the professional’s forecasts at different rates. Using a unique surveybased dataset covering various segments of the UK population we identify ‘active’ and ‘passive’ learners in the population.
‘Active’ and ‘passive’ learners are identified and distinguished by their respective absorption rates.
The present analyses also consider...

Castelnuovo, Efrem; Greco, Luciano; Raggi, Davide
This paper estimates Taylor rules featuring instabilities in policy parameters, switches in policy shocks' volatility, and timevarying trend inflation using postWWII U.S. data. The model embedding the stochastic target performs better in terms of datafit and identification of the changes in the FOMC's chairmanships. Policy breaks are found not to be synchronized with variations in policy shocks' volatilities. Finally, we detect a negative correlation between systematic monetary policy aggressiveness and inflation gap persistence.

Bordignon, Silvano; Raggi, Davide
Goal of this paper is to analyze and forecast realized volatility through nonlinear and highly persistent dynamics. In particular, we propose a model that simultaneously captures long memory and nonlinearities in which level and persistence shift through a Markov switching dynamics.
We consider an efficient Markov chain Monte Carlo (MCMC) algorithm to estimate parameters, latent process and predictive densities. The insample results show that both long memory and nonlinearities are significant and improve the description of the data. The outsample results at several forecast horizons, show that introducing these nonlinearities produces superior forecasts over those obtained from nested models.

Orsi, Renzo; Turino, Francesco
In this paper, we investigate possible sources of declining economic growth performance in Italy starting around the middle of the ’90s. A longrun data analysis suggests that the poor performance of the Italian economy cannot be ascribed to an unfortunate business cycle contingency. The rest of the euro area countries have shown better performance, and the macroeconomic data show that the Italian economy has not grown as rapidly as these other European economies. We investigate the sources of economic fluctuations in Italy by applying the Business Cycle Accounting procedure introduced by Chari, Kehoe and McGrattan (2007). We analyze the relative...

Laitin, David D.
La ciencia política sigue siendo una disciplina joven, pero la investigación dentrode ella se ha solidificado en un conjunto de programas bien definidos que ha involucradoa una comunidad internacional de estudiosos. Aquí identificaré tres de esos programasa fin de mostrar la constante vitalidad intelectual de la disciplina. Primero, en teoríanormativa, los politólogos están desarrollando las implicaciones de la Teoría de la justiciade John Rawls (1971) en un programa que ha revitalizado el liberalismo para que tengaen cuenta temas políticos importantes de nuestro tiempo. Segundo, en un programaque alguna vez estuvo insertado de manera burocrática en la «Política Estadounidense»(American Politics), los...